Go to your Manage My Devices page on Amazon.com. There is an email address listed next to your Kindle. You use that email address to send books to your Kindle, and this places those books in your Archive. Unfortunately, when a book is first placed in the Archive it does not have furthest page read, highlights, bookmarks, etc. recorded for it. It is treated as a brand new book. So placing books with this info into the Archive now won't transfer that info.

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Originally Posted by new

Is it a Windows or Apple? I read at Calibre website the new Kindles are not compatible with "collections". That is Windows XP and Mac OSX.

The Kindle Paperwhite and Kindle 4 Black are definitely compatible with Collections. The Kindle Fire models however are not.